MGPraxis6,400 papers identified by name

Factor investing

240 papers on factor investing as a systematic trading strategy. Multi-factor portfolios, factor premia, factor timing and smart beta.

Also searched as: factor premia, multi-factor portfolios, smart beta, factor timing, factor zoo

Papers2401996–2026
Share of the family100 %240 of 240
Asset
Method
Papers by yearFactor investing
■ equities■ bonds and credit■ multi-asset■ volatility and options■ other assets200020052010152015131620201626322026■ equities■ bonds and credit■ multi-asset■ volatility and options■ other assets200020052010152015131620201626322026
Most cited in each assetcited byasset
Multifactor Explanations of Asset Pricing Anomalies by Fama and FrenchEquities6546Equities1996
A Multifactor Perspective on Volatility-Managed Portfolios by DeMiguel et al.Asset not named26Asset not named2022
Volatility Managed Multi-Factor Portfolios by Reschenhofer and ZechnerVolatility and options4Volatility and options2024
Optimal Investment Strategies with a Heath-Jarrow-Morton Term Structure of Interest Rates by Munk and SørensenBonds and credit4Bonds and credit1999
Multi-Factor Inception: What to Do with All of These Features? by Liu and ZohrenCrypto1Crypto2023
Latest additionsasset
A Common Rough Latent State in Conditional Factor Pricing: Rethinking the Fama-French Five-Factor Model by KamdemEquitiesEquities2026
Welcome to the Factor Zoo: Where Mutual Fund Alpha Hides by MalakhovEquitiesEquities2026
The Efficient Cross-Section is Sparse: Factor Timing and the Dimension of the SDF by MehrabiniaEquitiesEquities2026
Every Asset Its Own Benchmark: Market-Neutral Alpha in Perpetual Futures by MDEquitiesEquities2026
"Factor Investing with Climate: Engineer a ""Climate-Resilient"" Factor Portfolio for JSE" by MayambuEquitiesEquities2026

Assets with their own page

196 papers
Factor investing in equities196

Factor investing in bonds and credit

6 papers
cited bymethod
Factor Timing; a Risk and Mispricing Approach by Botshekan and Rezayati0Linear factor models2025
How to Construct a Long-Only Multifactor Credit Portfolio? by Blonk and Messow02024
Trading the Term Premium by van Schaik et al.02023
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence by Baltussen et al.32021
A Factor Approach to Smart Beta Development in Fixed Income by Staal et al.12015
Optimal Investment Strategies with a Heath-Jarrow-Morton Term Structure of Interest Rates by Munk and Sørensen41999

Factor investing in multi-asset

5 papers
cited bymethod
Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation2022
Optimal Dynamic Futures Portfolio Under a Multifactor Gaussian Framework by Leung et al.0Mathematical derivation +12021
Identifying Risk Factors and Their Premia: A Study on Electricity Prices by Wei and LundeBayesian +12020
A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing by Fons et al.State-space models2019
Risk Minimization in Multi-Factor Portfolios: What is the Best Strategy? by Kremer et al.02017

Factor investing in volatility and options

4 papers
cited bymethod
Modeling the VIX Term Structure: A Novel Discrete Time Multi-Factor Model with Stochastic Volatility by Escobar‐Anel et al.0Mathematical derivation +12026
When Simplicity Beats Optimization: Evidence from Factor Timing, Volatility Management, and the 1/N Benchmark by Feng02026
Volatility Managed Multi-Factor Portfolios by Reschenhofer and Zechner42024
Vix Option Pricing and Cboe Vix Term Structure: A New Methodology for Volatility Derivatives Valuation by Lin1Mathematical derivation +12009

Factor investing in currencies

2 papers
cited bymethod
RavenPack Quantitative Research: Enhancing Currency Risk Premia with RavenPack FX Sentiment Factors by Hafez et al.02025
Smart Currency Hedging for Smart Beta Global Equities by De Boer02014

Factor investing, no asset class named

24 papers
cited bymethod
Diversification all the Way Down: Multifactor Investing Within Factors, Across Factors and Across Time by Renshaw et al.02026
Dynamic factor timing approach and its application to the investment portfolios by Garmash02026
Enhancing Portfolio Optimization: A Theoretical Exploration of the Multi-Factor Treynor-Black Model by Lundtofte0Mathematical derivation +12024
Machine Beta, Statistical Factors, Non-Linear Mechanisms And The [3N] Methodology by Pal et al.02024
Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models by Zhang et al.0Linear factor models2023
How do We Capture Long-Horizon Factor Timing? Measures and their Application to Hedge and Mutual Funds by Liu and Malakhov12023
On the Relevance of Variances and Correlations for Multi-Factor Investors by Zeissler02023
A Multifactor Perspective on Volatility-Managed Portfolios by DeMiguel et al.262022
Factor Timing with Portfolio Characteristics by Kagkadis et al.02021
15 more
A New Metric for Smart Beta: Factor Exposure per Unit of Tracking Error by Bender et al.02019
Can the Whole Be More Than the Sum of the Parts? Bottom-Up Versus Top-Down MultiFactor Portfolio Construction by Bender and Wang12019
Thematic Indexing, Meet Smart Beta! Merging ESG into Factor Portfolios by Bender et al.82019
Time-Series Variation in Factor Premia: The Influence of the Business Cycle by Polk et al.92019
When Factor Timing Makes Sense by Barekat02019
Risk and Mispricing in Estimated Alphas by Hill-Kleespie0Linear factor models2017
Timing is Money: The Factor Timing Ability of Hedge Fund Managers by Osinga et al.22016
Is Smart Beta Dumb? by Pal22015
Smart Beta 2.0: A Disruptive Innovation by Vannelli et al.02015
Save the Trading Costs: Simple and Intuitive Rule for Smart Beta Strategy by Minami and Wakatsuki12014
Bayesian Model Averaging in Multi-Factor Markets by Franke1Bayesian +12011
Does Factor Timing Explain Hedge Fund Alpha? by Park3Linear factor models2011
Risk Factor and Liquidity Timing: A Short-Term Approach by Winter0State-space models2011
Capacity and Factor Timing Effects in Active Portfolio Management by Ciccotello et al.62009
The Fama-French Model: A Proven Alternative for the CAPM - Also in Germany by Vogler1Linear factor models2008

Papers on factor investing from other families

6 papers
filed under
The Performance of Asset Allocation Mutual Funds by Yin et al.Market timing and tactical asset allocation2024
Factor-Targeted Asset Allocation (Presentation Slides) by Lee and SalernoPortfolio optimization2022
My Factor Philippic by AsnessValue investing2016
Active Allocation of Smart Beta Indices Based on Factor Timing and Regime Switching by Gkatzilakis and SivasubramanianMacro signals and regime strategies2015
Many Risks, One (Optimal) Portfolio by HomescuPortfolio optimization2014
Timing Foreign Exchange Markets by Malone et al.Market timing and tactical asset allocation2012
Papers tagged from title and abstract by MarketGraphs Praxis. Citation counts from OpenAlex.
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